Quickest drift change detection in Lévy-type force of mortality model

Michał Krawiec, Zbigniew Palmowski and Łukasz Płociniczak

Applied Mathematics and Computation, 2018, vol. 338, issue C, 432-450

Abstract: In this paper, we give solution to the quickest drift change detection problem for a Lévy process consisting of both a continuous Gaussian part and a jump component. We consider here Bayesian framework with an exponential a priori distribution of the change point using an optimality criterion based on a probability of false alarm and an expected delay of the detection. Our approach is based on the optimal stopping theory and solving some boundary value problem. Paper is supplemented by an extensive numerical analysis related with the construction of the Generalized Shiryaev-Roberts statistics. In particular, we apply this method (after appropriate calibration) to analyse Polish life tables and to model the force of mortality in this population with a drift changing in time.

Keywords: Lévy processes; Quickest detection; Longevity; Optimal stopping; Force of mortality; Life tables; Change of measure (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:apmaco:v:338:y:2018:i:c:p:432-450

DOI: 10.1016/j.amc.2018.06.038

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